Monday, February 26, 2018

Lines on Charts of Commodity Trading Advisor Performance Seem To Be Running From Top Left to Bottom Right

From FT Alphaville:

A CTA disaster
Commodity Trading Advisors, the trend-following computer boffins responsible for almost a tenth of hedge fund assets under management, had a terrible February meltdown. The FT has a run down of lots of the better known names on Monday.
A small flavour:
Man AHL’s $1.1bn Diversified fund lost almost 10 per cent in the month to February 16, while the London investment firm’s AHL Evolution and Alpha funds were down about 4-5 per cent over the same period. The flagship funds of GAM’s Cantab Capital, Systematica and Winton lost 9.5 per cent, 7.2 per cent and 5.3 per cent respectively between the start of the month and February 16.
To that, we‘d add a couple of milestones highlighted by JP Morgan, with our emphasis:
Quill Cloud
"Pure Trend Following CTAs... lost almost 11 per cent in the week ending Feb 8 th. This 11 per cent is the second highest recorded weekly loss since the 12 per cent Pure Trend Following CTAs lost in the week ending 5 th March 2007...."